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Displaying results 1 to 19 of 19.

  1. Likelihood-based analysis for dynamic factor models
    Author: Jungbacker, Borus; Koopman, Siem Jan
    Published: 2008

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Array ; 2008,007
    Subjects: Maximum-Likelihood-Schätzung; Faktorenanalyse; Zustandsraummodell; Monte-Carlo-Simulation; Markov-Kette; Theorie; EM algorithm
    Scope: 39 S., graph. Darst.
  2. On discriminating between lognormal and Pareto tail
    a mixture-based approach
    Author: Bee, Marco
    Published: [2020]
    Publisher:  Università degli studi di Trento, Dipartimento di economia e management, [Trento]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: DEM working papers ; n. 2020, 9
    Subjects: Mixture distributions; EM algorithm; lognormal distribution; Paretodistribution
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  3. Estimating high dimensional multivariate stochastic volatility models
    Author: Pelagatti, Matteo; Sbrana, Giacomo
    Published: [2020]
    Publisher:  Department of Economics, Management and Statistics, University of Milano-Bicocca, Milan, Italy

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    Language: English
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    Series: DEMS working paper series ; no. 428 (January 2020)
    Subjects: Riccati equation; EM algorithm; Kalman filter; Correlation estimation; Large covariance matrix; Multivariate stochastic volatility
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  4. Classification of flash crashes using the Hawkes(p,q) framework
    Author: Wehrli, Alexander; Sornette, Didier
    Published: 2020
    Publisher:  Swiss Finance Institute, Geneva

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    Series: Research paper series / Swiss Finance Institute ; no 20, 92
    Subjects: Flash crash; Hawkes process; ARMA point process; High frequency nancial data; Market microstructure; EM algorithm; Time-varying parameters
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  5. Income dynamics in dual labor markets
    Author: Lagrosa, Ivan
    Published: October
    Publisher:  Centro de estudios monetarios y financieros, Madrid, Spain

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    Series: Working paper / CEMFI ; 2209
    Subjects: Income process; EM algorithm; labor market duality; temporary jobs; labor income risk; latent variables
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  6. Slow expectation-maximization convergence in low-noise dynamic factor models
    Author: Opschoor, Daan; Dijk, Dick van
    Published: [2023]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    This paper addresses the poor performance of the Expectation-Maximization (EM) algorithm in the estimation of low-noise dynamic factor models, commonly used in macroeconomic forecasting and nowcasting. We show analytically and in Monte Carlo... more

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    This paper addresses the poor performance of the Expectation-Maximization (EM) algorithm in the estimation of low-noise dynamic factor models, commonly used in macroeconomic forecasting and nowcasting. We show analytically and in Monte Carlo simulations how the EM algorithm stagnates in a low-noise environment, leading to inaccurate estimates of factor loadings and latent factors. An adaptive version of EM considerably speeds up convergence, producing substantial improvements in estimation accuracy. Modestly increasing the noise level also accelerates convergence. A nowcasting exercise of euro area GDP growth shows gains up to 34% by using adaptive EM relative to the usual EM.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/273829
    Series: Array ; TI 2023, 018
    Subjects: Dynamic factor models; EM algorithm; artificial noise; convergence speed; nowcasting
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  7. Semiparametric conditional mixture copula models with copula selection
    Author: Cai, Zongwu; Liu, Guannan; Long, Wei; Luo, Xuehong
    Published: October 16, 2023
    Publisher:  University of Kansas, Department of Economics, Lawrence, Kansas

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    Series: Working papers series in theoretical and applied economics ; 2024, 1
    Subjects: Conditional Copula; Mixture Copula; Semiparametric Estimation; Copula Selection; SCAD; EM algorithm
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  8. A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)
    Author: Lucchetti, Riccardo; Venetis, Ioannis A.
    Published: 2020
    Publisher:  [Kiel Inst. for the World Economy], [Kiel]

    The authors replicate and extend the Monte Carlo experiment presented in Doz, Giannone and Reichlin (A Quasi-Maximum Likelihood Approach For Large, Approximate Dynamic Factor Models, Review of Economics and Statistics, 2012) on alternative... more

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    The authors replicate and extend the Monte Carlo experiment presented in Doz, Giannone and Reichlin (A Quasi-Maximum Likelihood Approach For Large, Approximate Dynamic Factor Models, Review of Economics and Statistics, 2012) on alternative (time-domain based) methods for extracting dynamic factors from large datasets; they employ open source software and consider a larger number of replications and a wider set of scenarios. Their narrow sense replication exercise fully confirms the results in the original article. As for their extended replication experiment, the authors examine the relative performance of competing estimators under a wider array of cases, including richer dynamics, and find that maximum likelihood (ML) is often the dominant method; moreover, the persistence characteristics of the observable series play a crucial role and correct specification of the underlying dynamics is of paramount importance.

     
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    Contributor: Doz, Catherine (VerfasserIn des Bezugswerks); Giannone, Domenico (VerfasserIn des Bezugswerks); Reichlin, Lucrezia (VerfasserIn des Bezugswerks)
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/219103
    Series: Economics ; vol. 14, 2020-14
    Subjects: Dynamic factor models; EM algorithm; Kalman filter; Principal components
    Scope: 1 Online-Ressource (13 Seiten)
  9. Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
    Author: Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier
    Published: 2020
    Publisher:  Swiss Finance Institute, Geneva

    The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the Electronic Broking Services (EBS) interbank trading platform and the S&P 500 E-mini futures contract traded at the Chicago Mercantile Exchange (CME) -- it is shown that the estimated branching ratio depends little upon window size and is usually far from criticality. This is done by controlling for exogenous non-stationarities/heterogeneities at inter- and intraday scales, accomplished by using information criteria to select the degree of flexibility of the Hawkes immigration intensity, either piecewise constant or adaptive logspline, estimated using an expectation maximization (EM) algorithm. The bias incurred by keeping the immigration intensity constant is small for time scales up to two hours, but can become as high as 0.3 for windows spanning days. This emphasizes the importance of choosing an appropriate model for the immigration intensity in the application of Hawkes processes to financial data and elsewhere. The branching ratio is also found to have an intraday seasonality, where it appears to be higher during times where market activity is dominated by supposedly reflexive automated decisions and a lack of fundamental news and trading. The insights into the microstructure of the two considered markets derived from our Hawkes process fits suggest that equity futures exhibit more complex non-stationary features, are more endogenous, persistent and traded at higher speed than spot foreign exchange. We complement our point process study with EM-estimates of integer-valued autoregressive (INAR) time series models at even longer scales of months. Transferring our methodologies to the aggregate bin-count setting confirms that even at these very long scales, criticality can be rejected

     
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    Source: Union catalogues
    Language: English
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    Series: Research paper series / Swiss Finance Institute ; no 20, 39
    Swiss Finance Institute Research Paper ; No. 20-39
    Subjects: Hawkes process; Integer-valued autoregressive process; Econometrics; High frequency nancial data; Market microstructure; Spurious inference; Nonstationarity; EM algorithm
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  10. Hidden semi-Markov models for rainfall-related insurance claims
    Author: Shi, Yue; Punzo, Antonio; Otneim, Håkon; Maruotti, Antonello
    Published: 2023
    Publisher:  Norwegian School of Economics, Bergen, Norway

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    Source: Union catalogues
    Language: English
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    Other identifier:
    hdl: 11250/3100853
    Series: Discussion paper / Department of Business and Management Science ; FOR 2023, 17 (November 2023)
    Subjects: Mixtures; Non-Gaussian distributions; EM algorithm; Risk measures; Rainfalldata
    Scope: 1 Online-Ressource (circa 26 Seiten)
  11. The Markov switching ACD model
    Author: Hujer, Reinhard; Vuletić, Sandra; Kokot, Stefan
    Published: 2002
    Publisher:  Univ., Fachbereich Wirtschaftswiss., Frankfurt am Main

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  12. The Markov switching ACD model
    Author: Hujer, Reinhard; Vuletić, Sandra; Kokot, Stefan
    Published: 2002
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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  13. Specification analysis of international treasury yield curve factors
    Author: Pegoraro, Fulvio; Siegel, Andrew F.; Tiozzo 'Pezzoli, Luca
    Published: 2014
    Publisher:  Banque de France, Paris

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Document de travail / Banque de France ; 490
    Subjects: international treasury yield curves; common and local factors; state-space models; EM algorithm; Kalman Filter and Kalman Smoother
    Scope: Online-Ressource (50 S.), graph. Darst.
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    Zsfassung in franz. Sprache
  14. Interindividual and interoccasion variability of toxicokinetic parameters in population models
    Author: Selinski, Silvia; Urfer, Wolfgang
    Published: 1998
    Publisher:  SFB 475, Universität Dortmund, Dortmund

    The determination of toxicokinetic parameters is an essential component in the risk assessment of potential harmful chemicals. It’s a first step to analyse the processes which are involved in the development of DNA adducts and might therefore lead to... more

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    The determination of toxicokinetic parameters is an essential component in the risk assessment of potential harmful chemicals. It’s a first step to analyse the processes which are involved in the development of DNA adducts and might therefore lead to the development of cancer. The complete research depends on investigations with animals in vivo and in vitro, so that a critical step is the extrapolation from experimental animals to the human organism. Besides the investigation of the interspecific differences, the intraspecific and the interoccasion variability have to be analysed to avoid serious errors in the determination of the human risk. The aim of extrapolation from one species to an other requires a characterisation of the interesting processes which is valid for the whole species, i.e. population mean parameters instead of sets of parameters for different individuals, occasions and concentrations of the interesting chemical. The theory of hierarchical models, basically the work of Racine-Poon et al. (1985, 1986, 1990), provides a procedure, which incorporates both, modelling of the variability structure and reduction of complexity in terms of estimates of population mean parameter vectors. This paper presents part of a strategy to determinate the processes of uptake, elimination, and metabolism of the gas ethylene, which is a natural body constituent and an important industrial chemical.

     
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    Language: English
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    Format: Online
    Other identifier:
    hdl: 10419/77186
    Series: Technical Report / SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund ; 1998,38
    Subjects: EM algorithm; two-compartment model; population model; Bayes estimates; toxicokinetics; nonlinear hierarchical model
    Scope: Online-Ressource (29 S.), graph. Darst.
  15. Estimation of the mean AUC of the xenoestrogens daidzein, bisphenol A, and p-tert-octylphenol
    Author: Selinski, Silvia; Degen, Gisela H.
    Published: 2003
    Publisher:  Univ., SFB 475, Dortmund

    Potentially adverse human and environmental effects due to hormone mimicry of environmental estrogens are a matter of current concern. Environmental estrogens belong to the so-called endocrine active compounds (EAC), which alter signalling processes... more

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    Potentially adverse human and environmental effects due to hormone mimicry of environmental estrogens are a matter of current concern. Environmental estrogens belong to the so-called endocrine active compounds (EAC), which alter signalling processes of the endocrine system leading to a broad range of effects during foetal and postnatal development, puberty, adulthood, and aging. A number of synthetic chemicals as well as several plant-derived compounds, so-called phytoestrogens, are known to have weak estrogenic activity. The present study is part of the risk assessment of the weak environmental estrogens daidzein, p-tert-octylphenol, and bisphenol A. The isoflavone daidzein is an important phytoestrogen with respect to dietary exposure (soy beans and soy products). p-tert-Octylphenol and bisphenol A are industrial chemicals. The toxicokinetics and the bioavailability of these three substances in female DA/Han rats after oral and single intravenous application were investigated by the use of population models accounting for the differences in the individual metabolism. Furthermore, populations of pregnant and non-pregnant rats are compared.

     
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    Language: English
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    hdl: 10419/49346
    Series: [Technical Report / Sonderforschungsbereich 475, Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund ; 2003,05]
    Subjects: Bisphenol A; daidzein; p-tert-octylphenol; xenoestrogens; phytoestrogens; endocrine active compounds; bioavailability; AUC; population model; EM algorithm; Mann-Whitney-U-test
    Scope: Online-Ressource (28 S.), graph. Darst.
  16. Estimation of toxicokinetic population parameters in a four-stage hierarchical model
    Author: Selinski, Silvia
    Published: 2000
    Publisher:  SFB 475, Universität Dortmund, Dortmund

    A basic part in the risk assessment of potential carcinogens is the determination of toxicokinetic parameters. The partition of the xenobiotic in the body of experimental animals is a first step of the biochemical pathway of the formation of DNA... more

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    A basic part in the risk assessment of potential carcinogens is the determination of toxicokinetic parameters. The partition of the xenobiotic in the body of experimental animals is a first step of the biochemical pathway of the formation of DNA adducts which might lead to the development of cancer. Fundamental in the extrapolation from one species to another is the characterisation of processes by means of population parameters. Nevertheless, the consideration of individual parameters varying between repeated experiments and different doses is of great importance to obtain a more precise insight into the variability structure of the process so that a valid basis for further research is the final result. Two nonlinear four-stage hierarchical models for a repeated measurement design and for repeated exposures to different doses are presented. The estimation of the individual and population parameters as well as of the covariance matrices is performed by an EM algorithm.

     
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    Language: English
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    Other identifier:
    hdl: 10419/77310
    Series: Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund ; 2000,01
    Subjects: ethylene; ethylene oxide; risk assessment; toxicokinetics; population parameters; two-compartment model; nonlinear hierarchical model; Bayes estimates; EM algorithm; repeated measurement
    Scope: Online-Ressource (28 S.), graph. Darst.
  17. Interindividual and interoccasion variability of toxicokinetic parameters of uptake, exhalation, and metabolism of ethylene
    Author: Schirm, Florian A.; Selinski, Silvia
    Published: 2000
    Publisher:  SFB 475, Universität Dortmund, Dortmund

    A basic part in the risk assessment of potential carcinogens is the determination of toxicokinetic parameters. The partition of the xenobiotic in the body of experimental animals is a first step of the biochemical pathway of the formation of DNA... more

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    A basic part in the risk assessment of potential carcinogens is the determination of toxicokinetic parameters. The partition of the xenobiotic in the body of experimental animals is a first step of the biochemical pathway of the formation of DNA adducts which might lead to the development of cancer. The aim of extrapolation of toxicological data from experimental animals to the human organism requires a valid characterisation of the considered processes for the whole species, i. e. population parameters, moreover accounting for the variability within and between individuals. This paper presents the results of an inhalation study with one of the basic petrochemical industrial compounds, ethylene (ethene). Two nonlinear four-stage hierarchical models for a repeated measurement design which are of different complexity are presented. The estimation of the individual and population parameters as well as of the covariance matrices is performed by an EM algorithm.

     
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    Language: English
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    Other identifier:
    hdl: 10419/77165
    Series: Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund ; 2000,07
    Subjects: ethylene; ethylene oxide; risk assessment; toxicokinetics; population parameters; two-compartment model; nonlinear hierarchical model; Bayes estimates; EM algorithm; repeated measurement
    Scope: Online-Ressource (38 S.), graph. Darst.
  18. Outlier detection in experimental data using a modified Hampel identifier
    Author: Selinski, Silvia; Becker, Claudia
    Published: 2001
    Publisher:  SFB 475, Universität Dortmund, Dortmund

    The present method allows to detect outlying observations in data which may be described by a deterministic function plus a stochastic component. This type of functional relationship often occurs in experimental data, in toxicological research, for... more

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    The present method allows to detect outlying observations in data which may be described by a deterministic function plus a stochastic component. This type of functional relationship often occurs in experimental data, in toxicological research, for instance. The Hampel identifier, an outlier identification method designed for location-scale models, is modified to account for the special structure of the data. Simulated standardisation values for the procedure are given for sample sizes from 16 to 21. The procedure is applied to a toxicological study with one of the basic petrochemical compounds ethylene (ethene). This study was designed to determine the individual and population parameters, i. e. the parameters which describe the general behaviour of the investigated process in the whole population, as well as the intra- and interindividual variability of the processes of inhalation, exhalation, and metabolic elimination of the chemical ethylene in male Sprague- Dawley rats. The results are discussed for various methods determining the functional relationship and for two possible approaches of applying the outlier identification method, one based on the simulated (exact) standardisation values for all sample sizes, the other based on taking a tabled value corresponding to the sample size 'nearest' to the real sample.

     
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    Other identifier:
    hdl: 10419/77105
    Series: [Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund ; 2001,40]
    Subjects: Outliers; Hampel identifier; toxicokinetics; nonlinear hierarchical models; population parameters; EM algorithm; ethylene
    Scope: Online-Ressource (49 S.), Ill., graph. Darst.
  19. Population toxicokinetics of ethylene
    models and validation of first order assumptions on kinetic processes
    Published: 2002
    Publisher:  SFB 475, Universität Dortmund, Dortmund

    The determination of toxicokinetic parameters is an essential component in the risk assessment of potential harmful chemicals. It is a key step to analyse the processes involved in the formation of DNA adducts which are connected with the development... more

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    The determination of toxicokinetic parameters is an essential component in the risk assessment of potential harmful chemicals. It is a key step to analyse the processes involved in the formation of DNA adducts which are connected with the development of chemical-induced cancer. A general problem is the extrapolation of toxicological data from experimental animals to the human organism. Therefore a valid characterisation of the relevant processes for the whole species is required, i.e., of population mean parameters instead of sets of parameters for different individuals. These, again, may vary between repeated experiments at the same or at different administered doses. Nevertheless, these differences are of great importance in obtaining a more precise insight into the variability structure of process investigated within the test animal population, so that a valid basis for further research is the final result. The theory of hierarchical models, particularly the work of Racine-Poon (1985) and Racine-Poon and Smith (1990), provides a procedure which incorporates both, modelling of the variability structure and estimation of population mean parameter vectors. The present study was designed to elucidate interindividual and interoccasion variability of toxicokinetic parameters relevant for the biological transformation of one of the basic petrochemical industrial compounds, ethylene 2 (ethene), which is also a physiological body constituent, to its metabolite, ethylene oxide, which is a proven carcinogen.

     
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    Other identifier:
    hdl: 10419/77110
    Series: [Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund ; 2002,45]
    Subjects: Ethylene; ethylene oxide; toxicokinetics; population model; repeated measurements; EM algorithm; interindividual variability; interoccasion variability
    Scope: Online-Ressource (48 S.), graph. Darst.